(!
  Xpress Insight Portfolio Optimization example
  -- Implementation of lightweight execution mode via partial
     updates of Insight scenario data (selection of entities
     in subroutines insightpopulate and insightcapture) --
  -- Model version grouping declaration of input and result entities --

  (c) 2024 Fair Isaac Corporation
!)
model "Portfolio Optimization - Mosel"
  version 1.0.0

  options noimplicit

  uses "mminsight"
  uses "mmxprs"

  declarations
    ! Constant
    DATAFILE = "shares.csv"
  end-declarations

  ! Declaration of the scenario data model for input and results
  ! Input entities
  !@insight.manage input
  public declarations
    !@insight.alias Maximum investment into high-risk values
    MaxHighRisk: real

    !@insight.alias Maximum investment per share
    MaxPerShare: real

    !@insight.alias Minimum investment into North-American values
    MinNorthAmerica: real

    !@insight.alias Shares
    ShareIds: set of string

    !@insight.alias Expected Return on Investment
    !@insight.format $ 0.00
    Shares_Return: array(ShareIds) of real

    !@insight.alias High-risk value
    Shares_HighRisk: array(ShareIds) of boolean

    !@insight.alias Issued in North America
    Shares_NorthAmerica: array(ShareIds) of boolean
  end-declarations

  ! Result entities
  !@insight.manage result
  public declarations
    !@insight.alias Investment per share
    !@insight.format 0.0%
    Shares_fraction: array(ShareIds) of mpvar

    !@insight.alias Total expected return on investment
    TotalReturn: linctr

    ! New result entities
    !@insight.alias Average return of high-risk shares
    ReturnHighRisk: real

    !@insight.alias Average return of low-risk shares
    ReturnLowRisk: real
  end-declarations

  !@doc.descr Calculate the average value of an array subject to a filter.
  !@doc.info The array entries from the array in the first argument are selected via the value associated with the corresponding index in a second array.
  function calcavg(retarr: array(r:set of string) of real, 
                   riskarr: array(set of string) of boolean, 
                   value: boolean): real
    declarations
      SumReturn: real
      cnt: integer
    end-declarations

    cnt:= 0
    SumReturn:= sum(cnt as counter, s in r | riskarr(s) = value) retarr(s)
    returned := SumReturn/cnt
  end-function

  !@doc.descr Handler for the standard LOAD execution mode
  !@doc.info Load input data and initialize all input entities.
  !@insight.execmodes.LOAD
  public procedure loaddata
    writeln("Loading data.")
    MaxHighRisk := 0.33
    MaxPerShare := 0.25
    MinNorthAmerica := 0.45

    initializations from "mmsheet.csv:skiph;" + DATAFILE
      [Shares_Return, Shares_HighRisk, Shares_NorthAmerica] as '[A:D]'
    end-initializations

    writeln("Loading finished.")
  end-procedure

  !@insight.execmodes.CUSTOM_RUN
  !@doc.descr Custom run execution mode.
  public procedure customrun
    writeln("Executing custom run mode.")
    ! Populate selected input entities with scenario data
    insightpopulate(['Shares_Return','Shares_HighRisk'])

    ReturnHighRisk := calcavg(Shares_Return,Shares_HighRisk,true)
    ReturnLowRisk := calcavg(Shares_Return,Shares_HighRisk,false)

    ! Write back results for the listed entities to the Insight scenario data
    insightcapture(['ReturnHighRisk','ReturnLowRisk'])

    writeln("Custom run mode finished.")
  end-procedure

  !@doc.descr Handler for the standard RUN execution mode
  !@doc.info Create and solve model, then initialize all result entities.
  !@insight.execmodes.RUN
  !@clearinput false
  public procedure solvemodel
    declarations
      LimitHighRisk, LimitNorthAmerica: linctr
    end-declarations

    ! If running in Insight, this call will initialize all input entities with scenario data
    insightpopulate

    ! Objective: expected total return
    TotalReturn := sum(s in ShareIds) Shares_Return(s) * Shares_fraction(s)

    ! Limit the percentage of high-risk values
    LimitHighRisk :=
      sum(s in ShareIds | Shares_HighRisk(s)) Shares_fraction(s) <= MaxHighRisk

    ! Minimum amount of North-American values
    LimitNorthAmerica :=
      sum(s in ShareIds | Shares_NorthAmerica(s)) Shares_fraction(s) >= MinNorthAmerica

    ! Spend all the capital
    sum(s in ShareIds) Shares_fraction(s) = 1

    ! Upper bounds on the investment per share
    forall(s in ShareIds) do
      Shares_fraction(s) <= MaxPerShare
    end-do

    writeln('Starting optimization.')

    ! Solve optimization problem
    setparam("XPRS_THREADS", 1)
    insightmaximize(TotalReturn)

    ! If running in Insight, write result data back to the Insight scenario data
    insightcapture(['Shares_fraction','TotalReturn'])

    writeln('Optimization finished.')
  end-procedure

  !@doc.descr Handler for when the model is executed outside of Insight
  !@insight.execmodes.NONE
  public procedure standalone
      loaddata
      solvemodel
      customrun
  end-procedure

  ! Invoke the handler procedure for the current execution mode
  insightdispatch
end-model